The cointegrated vector autoregressive model with general deterministic terms

DOI10.1016/j.jeconom.2017.10.003zbMath1394.62123OpenAlexW3122290034MaRDI QIDQ1652953

Morten Ørregaard Nielsen, Søren Glud Johansen

Publication date: 17 July 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/165372283/Johansen_2018_The_cointegrated_vector_autoregressive_model_with_general_deterministic_terms.pdf

zbMATH Keywords

cointegrationlikelihood inferenceVAR modeladditive formulationdeterministic termsextended model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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